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@inproceedings{976825, author = {Kafková, Silvie and Křivánková, Lenka}, address = {Brno}, booktitle = {Workshop of the Jaroslav Hájek Center and Financial Mathematics in Practice I, Book of short papers}, keywords = {The Vasicek model; interest rate; maximum likelihood method}, howpublished = {tištěná verze "print"}, language = {eng}, location = {Brno}, isbn = {9788021057784}, pages = {2429}, publisher = {Masaryk University}, title = {The Vasicek Model and Estimation of its Parameters}, year = {2012} }
TY  JOUR ID  976825 AU  Kafková, Silvie  Křivánková, Lenka PY  2012 TI  The Vasicek Model and Estimation of its Parameters PB  Masaryk University CY  Brno SN  9788021057784 KW  The Vasicek model KW  interest rate KW  maximum likelihood method N2  This paper deals with a mathematical model of shortterm interest rate, the Vasicek model. First we recall the notions of zero cupon bond and instantaneous rate, then we present the model and derivation of conditional distribution of interest rate. The final part contains an estimation of the Vasicek model parameters and describes the estimation of parameters on real data. ER 
KAFKOVÁ, Silvie and Lenka KŘIVÁNKOVÁ. \textit{The Vasicek Model and Estimation of its Parameters}. In \textit{Workshop of the Jaroslav Hájek Center and Financial Mathematics in Practice I, Book of short papers}. Brno: Masaryk University, 2012. p.~2429, 6 pp. ISBN~9788021057784.
